Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intapp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Intapp, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.4%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.7%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 28.4%, MDD -17.8%, Sharpe 1.27, 23% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 32.0%, MDD -22.8%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.6%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 28.4%, MDD -17.8%, exposure 23%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=76, k=3.1 |
28.4% | -17.8% | 1.27 | 1.59 | 3.6x | 5 | 23% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=3.4 |
28.8% | -21.8% | 1.23 | 1.32 | 3.7x | 7 | 23% |
| ROC 모멘텀 n=95, threshold=0.14 |
32.0% | -22.8% | 1.13 | 1.40 | 4.2x | 17 | 31% |
| ADX / DI 방향성 period=41, threshold=13 |
22.3% | -35.8% | 0.90 | 0.62 | 2.8x | 21 | 27% |
| SMA 크로스오버 fast=23, slow=94 |
28.3% | -36.2% | 0.89 | 0.78 | 3.6x | 11 | 46% |
| Donchian 채널 돌파 entryN=105, exitN=60 |
22.1% | -38.5% | 0.85 | 0.57 | 2.8x | 7 | 31% |
| Parabolic SAR step=0.01, maxStep=0.14 |
17.9% | -55.7% | 0.63 | 0.32 | 2.3x | 71 | 53% |
| EMA 크로스오버 fast=53, slow=128 |
15.6% | -34.6% | 0.63 | 0.45 | 2.1x | 7 | 36% |
| Supertrend period=21, mult=2.7 |
17.2% | -50.1% | 0.61 | 0.34 | 2.3x | 33 | 50% |
| MACD fast=17, slow=43, signal=19 |
15.7% | -39.3% | 0.57 | 0.40 | 2.1x | 45 | 54% |
| Buy and hold | 8.7% | -74.2% | 0.43 | 0.12 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 76-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 76-day middle average